Poorly calibrated probabilities but good classification in confusion matrix I have an imbalanced data set. My goal is to balance sensitivity and specificity via the confusion matrix. I used glmnet in r with class weights. The model does well at balancing the sensitivity/specificity, but I looked at the calibration plot, and the probabilities are not well calibrated. I have read about calibrating probabilities, but I am wondering if it matters if my goal is to produce class predictions. If it does matter, I have not found a way to calibrate the probabilities when using caret::train().
 A: This topic has been widely discussed, especially in some answers by Stephan Kolassa. I will try to summarize the main take-home messages for your specific question.
From a pure statistical point of view your interest should be on producing as output a probability for each class of any new data instance. As you deal with unbalanced data such probabilities can be small which however - as long as they are correct - is not an issue. Of course, some models can give you poor estimates of the class probabilities. In such cases, the calibration allows you to better calibrate the probabilities obtained from a given model. This means that whenever you estimate for a new observation a probability $\hat{p}$ of belonging to the target class, then $\hat{p}$ is indeed its true probability to be of that class.
If you are able to obtain a good probability estimator, then balancing sensitivity or specificity is not part of the statistical part of your problem, but rather of the decision component. Such the final decision will likely need to use some kind of threshold. Depending on the costs of type I and II errors, the cost-optimal threshold might change; however, an optimal decision might also include more than one threshold.
Ultimately, you really have to be careful about which is the specific need of the end-user of your model, because this is what is going to determine the best way of taking decisions using it.
